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A Multivariate Variance Gamma Model For Financial Applications

Author

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  • PATRIZIA SEMERARO

    (Dipartimento di Statistica e Matematica Applicata D. De Castro, Università degli Studi di Torino, Piazza Arbarello, 8, 10122 Torino, Italy)

Abstract

In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and Seneta [7], mentioned in Cont and Tankov [4] and calibrated in Luciano and Schoutens [5] as a price process. Our main contribution here is to introduce a multivariate subordinator with gamma margins. We investigate the process, determine its Lévy triplet and analyze its dependence structure. At the end we propose an exponential Lévy price model.

Suggested Citation

  • Patrizia Semeraro, 2008. "A Multivariate Variance Gamma Model For Financial Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-18.
    • Handle: RePEc:wsi:ijtafx:v:11:y:2008:i:01:n:s0219024908004701
    DOI: 10.1142/S0219024908004701
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